158 citations · 363 across the 23 of their papers we have counts for
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Bass martingales need not stretch
Mathias Beiglböck, Manuel Hasenbichler, Gudmund Pammer
In classical optimal transport, the equivalence of optimality, convex gradient structure, and cyclical monotonicity is a central paradigm. Known counterexamples to this equivalence…
Stochastic Knothe-Rosenblatt: Light-speed Calibration of Stochastic Local Volatility Models
Mathias Beiglböck, Manuel Hasenbichler, Gudmund Pammer
European option smiles determine the risk-neutral marginal laws of an asset, but not their intertemporal coupling, which is decisive for many applications. The Bass martingale cons…
Adapted Law Invariance and Time-Consistent Dynamic Risk Measures
Mathias Beiglböck, Silvana M. Pesenti, Maxime Sylvestre
In static risk measurement, law invariance expresses the principle that the risk of a position should depend only on its distribution, and not on the particular probability space o…